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ROSARIO NUNZIO MANTEGNA

Univariate and multivariate statistical aspects of equity volatility

  • Autori: Micciche', S.; Lillo, F.; Bonanno, G.; Mantegna, R.
  • Anno di pubblicazione: 2004
  • Tipologia: Proceedings (TIPOLOGIA NON ATTIVA)

Abstract

We discuss univariate and multivariate statistical properties of volatility time series of equities traded in a financial market. Specifically, (i) we introduce a two-region stochastic volatility model able to well describe the unconditional pdf of volatility in a wide range of values and (ii) we quantify the stability of the results of a correlation-based clustering procedure applied to synchronous time evolution of a set of volatility time series.

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